Correlation Between Citigroup and Pear Tree
Can any of the company-specific risk be diversified away by investing in both Citigroup and Pear Tree at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Citigroup and Pear Tree into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Citigroup and Pear Tree Essex, you can compare the effects of market volatilities on Citigroup and Pear Tree and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Citigroup with a short position of Pear Tree. Check out your portfolio center. Please also check ongoing floating volatility patterns of Citigroup and Pear Tree.
Diversification Opportunities for Citigroup and Pear Tree
Poor diversification
The 3 months correlation between Citigroup and Pear is 0.67. Overlapping area represents the amount of risk that can be diversified away by holding Citigroup and Pear Tree Essex in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Pear Tree Essex and Citigroup is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Citigroup are associated (or correlated) with Pear Tree. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Pear Tree Essex has no effect on the direction of Citigroup i.e., Citigroup and Pear Tree go up and down completely randomly.
Pair Corralation between Citigroup and Pear Tree
Taking into account the 90-day investment horizon Citigroup is expected to generate 1.69 times more return on investment than Pear Tree. However, Citigroup is 1.69 times more volatile than Pear Tree Essex. It trades about 0.25 of its potential returns per unit of risk. Pear Tree Essex is currently generating about 0.12 per unit of risk. If you would invest 6,360 in Citigroup on August 27, 2024 and sell it today you would earn a total of 715.00 from holding Citigroup or generate 11.24% return on investment over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Citigroup vs. Pear Tree Essex
Performance |
| Timeline |
| Citigroup |
| Pear Tree Essex |
Citigroup and Pear Tree Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Citigroup and Pear Tree
The main advantage of trading using opposite Citigroup and Pear Tree positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Citigroup position performs unexpectedly, Pear Tree can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Pear Tree will offset losses from the drop in Pear Tree's long position.| Citigroup vs. Nu Holdings | Citigroup vs. HSBC Holdings PLC | Citigroup vs. Bank of Montreal | Citigroup vs. Bank of Nova |
| Pear Tree vs. Pear Tree Quality | Pear Tree vs. Pear Tree Polaris | Pear Tree vs. Pear Tree Polaris | Pear Tree vs. Pear Tree Polaris |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
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